CME High Level Market Data API

Preface

This article describes the connectivity using the B2BITS CME High Level Market Data API.

Overview

The B2BITS CME High Level Market Data API is a library developed by B2BITS EPAM Systems Company (B2BITS) to provide with High-level access to CME Market Data.

B2BITS CME High Level Market Data API provides user application with built-in services:

• CME MDP Multiple Depth (Direct) Order Book, including incremental updates
• CME MDP Implied Order Book, including incremental updates
• CME MDP Consolidated Order Book, including incremental updates
• Security Definitions and Security Status
• Security Statistics
• Security Last Trades
• Quote Requests

Quick start for CME High Level Market Data API

This example provides a simple functionality for connecting to CME Market Data server and reading data from it. This example includes scenario based on pre-configuration of Subscriptions with binding of user applications listener to Subscription to handle Market Data. This example demonstrates Multiple Depth (Direct) Order Book provided via CME High Level Market Data API.

import com.epam.cmemdp.marketdata.MarketDataApp;
import com.epam.cmemdp.marketdata.MarketDataAppFactory;
import com.epam.cmemdp.marketdata.cfg.ConfigHelper;
import com.epam.cmemdp.marketdata.cfg.Configuration;
import com.epam.cmemdp.marketdata.event.OrderBookListener;
import com.epam.cmemdp.marketdata.example.util.CmeMarketDataUtil;
import com.epam.cmemdp.marketdata.model.BookPriceData;
import com.epam.cmemdp.marketdata.model.OrderBook;
import com.epam.cmemdp.marketdata.model.OrderBookState;
import com.epam.fix.message.FIXFieldList;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
    
public class DirectBookExample {
    private static final Logger logger = LoggerFactory.getLogger(DirectBookExample.class);

    public static void main(String[] args) {
        try {
            new DirectBookExample().handleMarketData();
        } catch (Exception e) {
            logger.error("Error in example", e);
        }
    }

    public void handleMarketData() throws Exception {
        logger.info("DirectBookExample has been started ...");
        // create instance of MarketDataApp
        final MarketDataApp mdApp = MarketDataAppFactory.createMarketDataApp();
        // load configuration of Subscriptions (if you work via pre-configurated Subscriptions)
        Configuration mdAppCfg = ConfigHelper.loadConfiguration(getClass().getClassLoader().getResource("cme-md-func-directbook.cfg"));
        // bind listeners to required Subscriptions from configuration
        mdAppCfg.bindDirectBookListener("SSCRPTN001", new OrderBookListener() {
            public void onBookStateChanged(OrderBook book, OrderBookState oldState, OrderBookState newState) {
                logger.info("Direct onBookStateChanged: type: [{}], security: [{}], prevState: [{}], newState: [{}]",
                book.getBookType(), book.getSecurityDef().getSecurityDesc(), oldState, newState);
            }

            public void onOrderBookUpdated(OrderBook book, FIXFieldList source) {
                logger.info("Direct onOrderBookUpdated: security: [{}]", book.getSecurityDef().getSecurityDesc());
                 CmeMarketDataUtil.printDirectOrderBook(book);
            }

            public void onOrderBookTopOfTheBookUpdated(Long securityId, BookPriceData topBid, BookPriceData topAsk, FIXFieldList source) {
                logger.info("New top of the Direct Book of security [{}]: [{}]|[{}]|[{}]|[{}]", securityId, topBid.getQuantity(), topBid.getPrice(), topAsk.getPrice(), topAsk.getQuantity());
            }
        });
        // start to connect and handle CME Market Data
        mdApp.init(mdAppCfg);
        mdApp.start();

        Thread.sleep(300000);
        // shutdown stream and disconnect
        mdApp.stop();
    }
}

Configuration of Subscriptions

Subscription Options and appropriate Event Listeners

The following table lists all Subscription Options and appropriate Listenters to bind to listen Market Data events.

Subscription Option	Purpose	Listener to bind to get events	Example Names
DIRECT	Multiple Depth Book	Multiple Depth Book com.epam.cmemdp.marketdata.event.OrderBookListener	DirectBookExample, DirectAndImpliedBookExample, AdhocBookExample
IMPLIED	Implied Book	com.epam.cmemdp.marketdata.event.ImpliedOrderBookListener	ImpliedBookExample, DirectAndImpliedBookExample
CONSOLIDATED	Consolidated Book	com.epam.cmemdp.marketdata.event.ConsolidatedOrderBookListener	ConsolidatedBookExample, AdhocBookExample
TRADE	Last Trades	com.epam.cmemdp.marketdata.event.TradeListener	LastTradeBySecDescExample, LastTradeBySecurityGroupExample
QUOTEREQUEST	Quote Requests	com.epam.cmemdp.marketdata.event.QuoteRequestListener
STATISTICS	Statistics	com.epam.cmemdp.marketdata.event.StatisticsListener	StatisticsBySecuritySymbolExample
STATUS	Security Status	com.epam.cmemdp.marketdata.event.SecurityStatusListener
SECURITY	All security related events (excepting Book)	com.epam.cmemdp.marketdata.event.SecurityEventsListener